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Technical Studies Reference


Volume At Price Threshold Alert V2

The Volume At Price Threshold Alert V2 study gives a visual indication marker, text alert and optionally an audible alert when the Bid Volume, Ask Volume, Total Volume, Number of Trades, Ask Volume Bid Volume Difference, or Ask Volume Bid Volume Ratio at any price level within the current bar exceeds the specified threshold.

An email or SMS message can also be sent. The text message is displayed in Window >> Alert Manager >> Alerts Log. If you only want the text message, set the Volume Alert Number Input to No Alert Sound.

This study has 48 Subgraphs, one for each price level that meets the threshold condition. By default the Draw Style for these Subgraphs are set to Square Offset Left Candlestick. If you set the Subgraphs to a visible Draw Style, then make sure the study is as far down in the list of Studies to Graph in the Chart Studies window as possible. Otherwise, the particular Draw Style you are using may be drawn behind other studies on the chart and not be visible or partially cut off.

Effective with version 1519, when changing any of the Subgraph display related settings (Color, Draw Style, Width) for the first Subgraph, then those will automatically be applied to the remaining Subgraphs. Therefore, it is only necessary to change these Subgraphs settings for the first Subgraph.

Inputs

  • Comparison Method: This Input sets the particular volume data at a price level that is compared with the Volume Threshold or Percentage Threshold value in order to determine whether an alert and visual indication is generated. The options are
    • Bid Volume
    • Ask Volume
    • Total Volume
    • Number of Trades
    • Ask Volume Bid Volume Difference
    • Ask Volume Bid Volume Diagonal Difference
    • Ask Volume Bid Volume Ratio
    • Ask Volume Bid Volume Diagonal Ratio
    • Bid Volume and Ask Volume Separately


    When using the Ask Volume Bid Volume Difference or the Ask Volume Bid Volume Diagonal Difference you can enter a negative value for the Volume Threshold which will give an indicator when the Bid Volume is greater than the Ask Volume by the specified amount. For example, if given a Bid Volume of 350 and an Ask Volume of 150, then entering a -100 for the Volume Threshold will give a positive result at this level. Whereas a Volume Threshold of 100 will not give a positive result at this level, as the Ask is not greater than the Bid by 100 or more.

    The calculation for Ask Volume Bid Volume (Diagonal) Ratio is as follows: When Ask Volume is greater than Bid Volume, it is Ask Volume (Next) / Bid Volume * 100. When Bid Volume is greater than Ask Volume, it is Bid Volume / Ask Volume (Next) * -100.

    When using Diagonal Ask Volume Bid Volume Difference, the Bid Volume at one price level is subtracted from the Ask Volume at the next higher level. The visual indication marker and extension line will always be at the price level of the Bid price used in the difference calculation.

    When using Ask Volume Bid Volume Diagonal Ratio, the ratio of Ask Volume at the next higher price level to the Bid Volume at a price level is calculated. The visual indication marker and extension line will be at the price level of the dominant side - this means that if the Ask is greater than the Bid and the Percentage Threshold is positive, then the price will be at the Ask level being compared.
  • Volume Threshold: This Input sets the value of the volume data selected in Comparison Method that has to be met or exceeded at any price level within the current bar to generate an alert and visual indication. If this is set to 0, then the comparison is an equals comparison only.

    This Input can be set to a negative value when the Comparison Method is set to either Ask Volume Bid Volume Difference or Ask Volume Bid Volume Diagonal Difference. A negative Volume Threshold indicates that the Bid is the dominant side and the indicator will display when the bid is greater than the ask by the amount specified.

    This Input does not apply when using Ask Volume Bid Volume Ratio or Ask Volume Bid Volume Diagonal Ratio for the Comparison Method. Instead these Comparison Methods rely on the Percentage Threshold Input.
  • Volume Alert Number: This Input sets the Alert Sound Number to use when the Volume Threshold has been met. To configure the Alert Sound Number, refer to Alert Sound Settings.
  • Draw Extension Lines: When this Input is set to a value other than None, then at the appropriate price level for a chart bar that has met the Volume Threshold, a line will be drawn from that price level at that chart bar forward until it intersects with a future chart bar and it will stop at that bar. The Color, Line Style and Line Width are all controlled through the Extension Line Properties Study Subgraph setting. This Input has the following options:
    • None: Extension Lines are not drawn.
    • All Alerts: All price levels within a chart bar that has met the Volume Threshold will have an extension line drawn.
    • Lowest Price in Adjacent Alerts: When the Input for Highlight Adjacent Alerts Minimum Group Size is non-zero, then only the lowest price level within a group of adjacent alerts will have an extension line drawn.
    • Highest Price in Adjacent Alerts: When the Input for Highlight Adjacent Alerts Minimum Group Size is non-zero, then only the highest price level within a group of adjacent alerts will have an extension line drawn.
    • All Prices in Adjacent Alerts: When the Input for Highlight Adjacent Alerts Minimum Group Size is non-zero, then all of the price levels within a group of adjacent alerts will have an extension line drawn. The extension lines within an adjacent group do not all stop at the first future bar encountered, rather each price level's extension line is independent and will continue until it intersects a future bar.
  • Draw Extension Lines with Transparent Range: When this Input is set to Yes, then the extension lines are drawn as a transparent rectangle that has a height that is defined by the boundaries of the price level at which the line is drawn. The transparency level is controlled with the Transparency Level for Fill Styles for the Extension Line Properties subgraph.
  • Percentage Threshold: This sets the percentage threshold when the Comparison Method Input is set to Ask Volume Bid Volume Ratio or Ask Volume Bid Volume Diagonal Ratio. 1 equals 1%. 100 equals 100%.

    When this Input is set to a positive value, only those ratios in which the Ask Volume is dominant (the Ask Volume is greater than or equal to the Bid Volume) that meet or exceed the Input are displayed. When this Input is set to a negative value, only those ratios in which the Bid Volume is dominant (the Bid Volume is greater than the Ask Volume) that meet or exceed the Input are displayed.
  • Additional Volume Threshold: This threshold Input is used when the Comparison Method is set to Bid Volume and Ask Volume Separately. It is used to set the Ask Volume threshold. The Volume Threshold Input sets the Bid Volume threshold.
  • Enable Zero Bid/Ask Compares: This Input controls whether the ratio comparisons are performed when the denominator of the comparison would be zero. This Input is used in conjunction with the Zero Value Compare Action Input which determines how the zero values are handled. If this Input is set to No then comparisons with a zero value are ignored and will not show an alert.

    This Input only applies when the Comparison Method is either Ask Volume Bid Volume Ratio or Ask Volume Bid Volume Diagonal Ratio.
  • Zero Value Compare Action: This Input controls how a ratio comparison is performed when the denominator of the comparison is zero. This Input is only used when the Enable Zero Bid/Ask Compares is set to Yes. There are two options available for this Input:
    • Set 0 to 1: This changes the value from 0 to 1 for the ratio calculation.
    • Set Percentage to +/- 1000%: This sets the ratio value to a fixed value of 1000.

    This Input only applies when the Comparison Method is either Ask Volume Bid Volume Ratio or Ask Volume Bid Volume Diagonal Ratio.
  • Highlight Adjacent Alerts Minimum Group Size: When this Input is set to a value other than 0, a highlight box is drawn around the groups of adjacent visual markers that have at least the number of markers specified by this input. Otherwise, when this Input is set to 0, the highlight is not drawn.

    For example, if this Input is set to 10, then any adjacent group of 10 markers or more will be highlighted with a yellow box around the markers.

    Note that there are only five available highlight subgraph pairs, so if a bar has more than 5 groups of adjacent markers that would be highlighted, only the first five, going from lowest price to highest, will be highlighted. Additionally, the default drawing for the highlight is set to match the default marker style. Changes to the marker draw style may require a change to the highlight draw style in order to best display the highlights with the markers.
  • Draw Extension Lines Until End of Chart: When this Input is set to Ye and extension lines are being drawn, then the extension lines will extend all the way to the end of the chart and will not stop at a future intersection point.
  • Number of Days to Calculate: This sets the number of days for the Volume at Price Threshold Alert V2 to calculate the alerts. This starts at the current day and goes back the specified number of days minus the current day.

Count of Alerts Subgraph

With release 1744 an additional subgraph has been added named Count of Alerts located at SG59. This subgraph counts the number of price levels within a bar for which the alert condition has been met. This subgraph can then be used in other Studies or Alert conditions as needed.

By default, this Subgraphs' Draw Style is set to Ignore. This is done in order to avoid the Main Price Graph being condensed due to the low values that would normally be contained with this subgraph.

Highlight Multiple Adjacent Bid or Ask Dominant Prices (Stacked Imbalance)

It is possible to use the Volume at Price Threshold Alert V2 study to denote price levels on a bar which contains a series of adjacent prices in which either the Bid or the Ask volumes are dominant through those prices. This is also referred to as a Stacked Imbalance.

The following instructions give an example of how to create the visual indication for an imbalance based solely on Ask Volume dominance for 3 levels without allowing comparisons to zero values.

This can be modified using the various Inputs in the study to control the imbalance by actual volume differences or percentage differences, as well as the number of price levels to include and whether to include comparisons with values of zero.

This study also allows for Extension lines to be displayed, although this is not covered in these instructions.

  1. Add the Volume at Price Threshold Alert V2 study to the chart.
  2. Go to the Settings for the Volume at Price Threshold Alert V2 study.
  3. Set the Input for Comparison Method to Ask Volume Bid Volume Difference.
  4. Set the Input for Volume Threshold to 1.
  5. Set the Input for Highlight Adjacent Alerts Minimum Size to 3.
  6. Optionally set the Input for Volume Alert Number to the Alert Number if you want an audible alert or other notification.
  7. Select OK to close the settings window.

The imbalance is denoted by the yellow highlighting (default) around groups of adjacent alerts.

In order to show an imbalance for the Bid volumes, set the Input for Volume Threshold to -1.

It is also possible to add a second instance of this study to the chart and have one set to display the Ask alerts and the other to display the Bid alerts. Refer to the information on Subgraphs Color for how to change the colors of the subgraphs to differentiate between the Ask alerts and the Bid alerts.


*Last modified Wednesday, 30th September, 2020.